Category: Momentum (Page 1 of 4)
While tranching can simply be a way to de-emphasize the impact of a specific rebalancing date choice, it may also introduce momentum effects in a portfolio.
In this research note we explore how performance for smart beta portfolios has been impacted by rebalance timing luck over the last two decades.
Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.
Straddles and Trend Following
By Nathan Faber
On May 11, 2020